Cristina Amado, Annastiina Silvennoinen, T. Teräsvirta
{"title":"Models with multiplicative decomposition of conditional variances and correlations","authors":"Cristina Amado, Annastiina Silvennoinen, T. Teräsvirta","doi":"10.4324/9781315162737-10","DOIUrl":null,"url":null,"abstract":"Univariate and multivariate GARCH type models with multiplicative decomposition of the variance to short and long run components are surveyed. The latter component can be either deterministic or stochastic. Examples of both types are studied.","PeriodicalId":380412,"journal":{"name":"Financial Mathematics, Volatility and Covariance Modelling","volume":"23 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2018-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"33","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Financial Mathematics, Volatility and Covariance Modelling","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.4324/9781315162737-10","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 33
Abstract
Univariate and multivariate GARCH type models with multiplicative decomposition of the variance to short and long run components are surveyed. The latter component can be either deterministic or stochastic. Examples of both types are studied.